本文選題：資產(chǎn)定價(jià) + 流動(dòng)性的波動(dòng)��； 參考：《天津大學(xué)》2012年碩士論文

【摘要】：傳統(tǒng)的流動(dòng)性資產(chǎn)定價(jià)描述的是流動(dòng)性資產(chǎn)定價(jià)的期望方程，，并沒(méi)有區(qū)分和刻畫(huà)在不同分位數(shù)水平下資產(chǎn)定價(jià)機(jī)制和差異這就需要在收益率處于不同的分位數(shù)水平下，重新討論資產(chǎn)定價(jià)與流動(dòng)性水平的關(guān)系其次，流動(dòng)性的波動(dòng)一直困擾著投資者，因?yàn)橥顿Y者在隨機(jī)時(shí)間點(diǎn)交易的時(shí)候可能關(guān)心的不僅僅是流動(dòng)性的平均水平，還關(guān)心流動(dòng)性的波動(dòng)分布情況此外2008年金融危機(jī)之后資產(chǎn)流動(dòng)性出現(xiàn)了下滑，股票流動(dòng)性也出現(xiàn)了明顯的下降，學(xué)術(shù)界對(duì)這兩者是否存在關(guān)系也給予極大關(guān)注基于此本文展開(kāi)了三個(gè)方面的討論，具體如下： 1.運(yùn)用分位數(shù)回歸理論再研究流動(dòng)性與資產(chǎn)定價(jià)之間的關(guān)系選擇了2007-2010年間深滬兩市A股的上市公司為研究對(duì)象，運(yùn)用分位數(shù)回歸方法對(duì)多因素資產(chǎn)定價(jià)模型進(jìn)行回歸檢驗(yàn)研究結(jié)果發(fā)現(xiàn)當(dāng)收益率處于中高分位水平時(shí)，運(yùn)用非流動(dòng)性指標(biāo)去衡量流動(dòng)性水平，能夠更好的解釋了資產(chǎn)定價(jià)包含流動(dòng)性因子，即非流動(dòng)性指標(biāo)越大，相應(yīng)的流動(dòng)性水平越差，結(jié)果收益率越高而當(dāng)收益率處于低分位數(shù)水平時(shí)，這時(shí)候運(yùn)用換手率這一指標(biāo)更好，因?yàn)榈头治粩?shù)時(shí)，收益率與換手率存在顯著負(fù)相關(guān) 2.探討流動(dòng)性的波動(dòng)之謎利用非流動(dòng)性測(cè)量流動(dòng)性水平和日內(nèi)數(shù)據(jù)衡量流動(dòng)性的波動(dòng),選取2000-2010年間深滬兩市A股的上市公司為研究對(duì)象，利用Fama-MaBeth回歸法和投資組合分析法對(duì)流動(dòng)性的波動(dòng)與股票橫截面預(yù)期收益率實(shí)證研究研究發(fā)現(xiàn)流動(dòng)性的波動(dòng)與預(yù)期收益率存在正相關(guān)關(guān)系,但不是很顯著研究表明產(chǎn)生這種現(xiàn)象的原因在于風(fēng)險(xiǎn)規(guī)避投資者認(rèn)為流動(dòng)性水平向下側(cè)運(yùn)動(dòng),持有流動(dòng)性的波動(dòng)較高的股票需要一個(gè)風(fēng)險(xiǎn)溢價(jià) 3.研究資產(chǎn)流動(dòng)性與股票流動(dòng)性的之間的關(guān)系通過(guò)借助公司財(cái)務(wù)決策這一橋梁將股票流動(dòng)性與資產(chǎn)流動(dòng)性聯(lián)系起來(lái)構(gòu)建理論模型理論模型中得出的結(jié)論是兩者是否存在正相關(guān)或者負(fù)相關(guān)取決于參數(shù)的值，另外選取2006-2009年間944家A股上市公司的日內(nèi)低頻數(shù)據(jù)下非流動(dòng)性指標(biāo)來(lái)衡量股票流動(dòng)性和三種資產(chǎn)流動(dòng)性指標(biāo)進(jìn)行實(shí)證檢驗(yàn)實(shí)證結(jié)果得出它們之間有較顯著的正相關(guān)關(guān)系與理論模型一致，實(shí)證結(jié)果還表明，對(duì)低成長(zhǎng)性和融資環(huán)境較差的企業(yè)，其正相關(guān)性更加突出最后利用理論模型揭示了上市公司再融資股票流動(dòng)性前后變化原因以及現(xiàn)金對(duì)公司價(jià)值的貢獻(xiàn)
[Abstract]:Traditional liquidity asset pricing describes the expectation equation of liquidity asset pricing, and does not distinguish and depict the asset pricing mechanism and differences under different quantile levels. Re-discuss the relationship between asset pricing and liquidity levels second, volatility of liquidity has been troubling investors, because investors may be concerned with more than just the average level of liquidity when trading at random points in time. Also concerned about the volatility of liquidity. In addition, after the financial crisis of 2008, the liquidity of assets declined and the liquidity of stocks declined markedly. Academic circles also pay great attention to the relationship between the two. Based on this, there are three aspects of the discussion, which are as follows: 1. Using the quantile regression theory to study the relationship between liquidity and asset pricing, the listed companies in Shenzhen and Shanghai stock markets from 2007 to 2010 were selected as the research objects. Using the quantile regression method to test the multi-factor asset pricing model, the results show that when the return rate is in the middle and high quartile level, the illiquidity index is used to measure the liquidity level. It can better explain that asset pricing contains liquidity factor, that is, the larger the illiquidity index, the worse the liquidity level, the higher the return rate is, and when the return rate is at low quantile level, It is better to use the turnover rate at this time, because there is a significant negative correlation between the return rate and the turnover rate at low quartiles. 2. This paper discusses the mystery of liquidity fluctuation using illiquidity measurement and intraday data to measure liquidity fluctuation, and selects listed companies in Shenzhen and Shanghai A stock markets from 2000 to 2010 as the research objects. By using Fama-MaBeth regression and portfolio analysis, the empirical study on the volatility of liquidity and the expected return of the cross-section of the stock shows that there is a positive correlation between the volatility of liquidity and the expected return. But less significant research suggests that the reason for this is that risk-averse investors think liquidity levels move downwards and that holding liquid stocks with higher volatility requires a risk premium. 3. To study the relationship between asset liquidity and stock liquidity. The conclusion in the theoretical model of the relationship between stock liquidity and asset liquidity is whether or not they are by means of the bridge of corporate financial decision. There is a positive correlation or a negative correlation depending on the value of the parameter, In addition, 944 A-share listed companies from 2006 to 2009 were selected to measure the stock liquidity and the three asset liquidity indicators under the intraday low frequency data. The empirical results show that there is a significant positive correlation between them. The relation is consistent with the theoretical model, The empirical results also show that the positive correlation of the firms with low growth and poor financing environment is more prominent. Finally, the reasons for the changes in liquidity of listed companies before and after refinancing and the contribution of cash to the value of the company are revealed by using the theoretical model.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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